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Sergio Focardi

De Vinci Research Center


Sergio Focardi

Born in Genova, Italy, Sergio Focardi holds a degree in Electronic Engineering from the University of Genova and a PhD in Mathematical Finance from the University of Karlsruhe, Germany. Sergio is teacher and researcher at the Finance Group, ESILV EMLV, of the Pole Universitaire De Vinci, Paris. He cofounded the research firm The Intertek Group, Paris and the multidisciplinary reearch center CINEF at the University of Genova. Sergio is a member of the Editorial Board of the Journal of Portfolio Management. He has (co-)authored numerous articles and books. Sergio's research interests include the econometrics of large equity portfolios, for which he has developed proprietary models, and forecasting trend reversals and large market swings. Currently, Sergio's main research interest is developing economic models capable of representing qualitative growth. He is also interested in applying quantum probability to economics and finance theory.

sergio.focardi@devinci.fr

Publications


Journal Articles

Gianna Figà-Talamanca; Sergio Focardi

Common dynamic factors for cryptocurrencies and multiple pair trading statistical arbitrages Journal Article

In: Decisions in Economics and Finance, vol. 44, pp. 863-882, 2021.

Abstract | Links | BibTeX

Sergio Focardi; Franck Fabozzi; Davide Mazza

Quantum Option Pricing and Quantum Finance Journal Article

In: Journal Of Derivatives, vol. 28, no. 1, pp. 79-98, 2020.

Abstract | Links | BibTeX

Franck Fabozzi; Sergio Focardi

Climate Change and Asset Management Journal Article

In: Journal Of Portfolio Management, vol. 46, no. 3, pp. 95-107, 2020.

Abstract | Links | BibTeX

Franck Fabozzi; Sergio Focardi; Davide Mazza

Modeling Local Trends with Regime Shifting Models with Time-Varying Probabilities Journal Article

In: International Review Of Financial Analysis, vol. 66, pp. 101368, 2019.

Abstract | Links | BibTeX

Sergio Focardi; Franck Fabozzi

Mathematics and Economics: Saving a Marriage on the Brink of Divorce? Journal Article

In: Journal Of Portfolio Management, vol. 42, no. 4, pp. p1-p3, 2016.

Abstract | Links | BibTeX

Robert Engle; Sergio Focardi; Franck Fabozzi

Issues in Applying Financial Econometrics to Factor-Based Modeling in Investment Management Journal Article

In: Journal Of Portfolio Management, vol. 42, no. 5, pp. 94-106, 2016.

Abstract | Links | BibTeX

Sergio Focardi; Franck Fabozzi

A New Approach to Statistical Arbitrage: Strategies Based on Dynamic Factor Models of Prices and their Performance Journal Article

In: Journal Of Banking & Finance, vol. 65, pp. p134-p155, 2016.

Abstract | Links | BibTeX

Gui Citovsky; Sergio Focardi

A novel view of suprathreshold stochastic resonance and its applications to financial markets Journal Article

In: Frontiers in Applied Mathematics and Statistics, 2015.

Abstract | Links | BibTeX

Sergio Focardi; Franck Fabozzi

Economics: An Empirical Science Capable of Forecasting Economic Events? Journal Article

In: Journal Of Portfolio Management, vol. 41, pp. 145-151, 2015.

Abstract | Links | BibTeX

Sergio Focardi

Is economics an empirical science? If not, can it become one? Journal Article

In: Frontiers in Applied Mathematics and Statistics, 2015.

Abstract | Links | BibTeX

Sergio Focardi; Franck Fabozzi

Can We Predict Stock Market Crashes? Journal Article

In: Journal Of Portfolio Management, vol. 40, no. 5, pp. 183-195, 2014.

Abstract | Links | BibTeX

Books

Michele Leonardo Bianchi; Stoyan V Stoyanov; Gian Luca Tassinari; Franck Fabozzi; Sergio Focardi

Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management Book

volume 7, World Scientific, 2019, ISBN: 978-981-3274-91-4.

Links | BibTeX

Sergio Focardi

Money: What it is, how it's created, who gets it, and why it matters Book

First edition, Routledge, 2018, ISBN: 978-1138228955.

Links | BibTeX

Franck Fabozzi; Sergio Focardi; Caroline Jonas

Equity Valuation: Science, Art, or Craft ? Book

CFA Institute Research Foundation, 2017, ISBN: 978-1-944960-33-9.

Links | BibTeX

Hasan A. Fallahgoul; Sergio Focardi; Franck Fabozzi

Fractional Calculus and Fractional Processes with Applications to Financial Economics Book

Academic Press, 2016, ISBN: 978-0-12-804248-9.

Links | BibTeX

Franck Fabozzi; Sergio Focardi; Svetlozar T. Rachev; Bala G. Arshanapalli

Basics of Financial Econometrics Book

John Wiley & Sons Inc., 2014, ISBN: 978-1118573204.

Links | BibTeX

Franck Fabozzi; Sergio Focardi; Caroline Jonas

Investment Management: A Science to Teach or an Art to Learn? Book

CFA Institute Research Foundation, 2014, ISBN: 978-1-934667-73-6.

Links | BibTeX

Sergio Focardi; Franck Fabozzi; Turan G. Bali

Mathematical Methods for Finance : Tools for Asset and Risk Management Book

John Wiley & Sons, 2013, ISBN: 978-1118312636.

Links | BibTeX

Conferences

Sergio Focardi; Gianna Figà-Talamanca; Marco Patacca

Theory of money and theory of cryptocurrencies Conference

30th European conference on operational research (EURO2019), Dublin, Ireland, 2019.

BibTeX

Marco Patacca; Gianna Figà-Talamanca; Sergio Focardi

Regime switching analysis of cryptocurrencies Conference

Cryptocurrency Research Conference 2019, Southampton, UK, 2019.

Links | BibTeX

Inproceedings

Sergio Focardi

A multi-agent stock-flow consistent model of an economy with a banking system Inproceedings

In: EAEPE 2017 Online Proceedings, Budapest, Hungary, 2017.

BibTeX

Sergio Focardi

Growth, Complexity, and Financial Fragility Inproceedings

In: EAEPE 2017 Online Proceedings, Budapest, Hungary, 2017.

BibTeX

Miscellaneous

Sergio Focardi; Davide Mazza

L'informatique quantique, nouvelle frontière de la finance Miscellaneous

The Conversation, 2019.

Links | BibTeX

Sergio Focardi; Davide Mazza

Quantum computing, the new frontier of finance Miscellaneous

The Conversation, 2019.

Links | BibTeX

Sergio Focardi

Debate: Economics needs to understand complexity and qualitative change Miscellaneous

The Conversation, 2019.

Links | BibTeX

Sergio Focardi

Do Capitalists Still Need Consumers? Miscellaneous

Social Europe, 2018.

Links | BibTeX

Sergio Focardi

Symbolic Growth and Stagnant Wages Miscellaneous

Social Europe, 2018.

Links | BibTeX

Sergio Focardi

Central-bank digital currencies: Towards a cashless society? Miscellaneous

The Conversation, 2018.

Links | BibTeX

Sergio Focardi

As markets climb to record highs, are today's stock markets overvalued? Miscellaneous

The Conversation, 2018.

Links | BibTeX




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